Board logo

标题: Effective duration [打印本页]

作者: dandman    时间: 2011-7-13 13:37     标题: Effective duration

please clarify:

I got this from book seven "the effective duration formula will calculate the percentage change for a 100 basis point change in yield, regardless of the actual change in rates used to derive BV- and BV+.

someone please clarify
作者: sameeragarwal    时间: 2011-7-13 13:37

effective duration by definition is %change in bond price for every 1% change in yield and is calculated as an average of %changes for the same amount of up and down shocks




欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) Powered by Discuz! 7.2